Allow for non diagonal A0 matrix in Error Correction Models.
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ec0f5ad701
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@ -144,22 +144,7 @@ else
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end
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end
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end
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end
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end
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end
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% Associate trends with error correction equations. It is assumed
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ecm_trend_eq = trend_eqnums;
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% that only one stochastic trend enters in each error correction
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% term.
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ecm_trend_eq = zeros(size(ecm_eqnums));
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for i=1:m
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[id, id1, id2] = intersect(trend_autoregressive_variables, M_.var.(var_model_name).rhs.vars_at_eq{ecm_eqnums(i)}.var);
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if isempty(id)
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error('Cannot find Error Correction term in equation %s!', M_.var.(var_model_name).eqtags{ecm_eqnums(i)})
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else
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if length(id)>1
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error('Cannot have more than one stochastic trend in Error Correction term in equation %s!', M_.var.(var_model_name).eqtags{ecm_eqnums(i)})
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else
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ecm_trend_eq(i) = trend_eqnums(id1);
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end
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end
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end
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% Get the EC matrix (the EC term is assumend to be in t-1).
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% Get the EC matrix (the EC term is assumend to be in t-1).
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%
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%
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% TODO: Check that the EC term is the difference between the
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% TODO: Check that the EC term is the difference between the
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